Form: 8-K

Current report filing

October 16, 2013

Documents

Exhibit 99.1
 
Slide 1
 
Chimera Investment Corporation Financial Update October 2013 WWW.CHIMERAREIT.COM
 
 
 
 
 
Slide 2
Information is unaudited, estimated and subject to change.     Disclaimer     This material is not intended to be exhaustive, is preliminary in nature and may be subject to change.  In addition, much of the information contained herein is based on various assumptions (some of which are beyond the control of Chimera Investment Corporation, the “Company”) and may be identified by reference to a future period or periods or by the use of forward-looking terminology, such as “believe,” “expect,” “anticipate,” “estimate,” “plan,” “continue,” “intend,” “should,” “may,” “would,” “projected,” “will” or similar expressions, or variations on those terms or the negative of those terms.  The Company’s forward-looking statements are subject to numerous risks, uncertainties and other factors, including the impact of the transition to a new independent registered public accounting firm and the Company’s ability to timely complete the process necessary to file its quarterly and annual reports for the quarters and year subsequent to March 31, 2012.  Furthermore, none of the financial information contained in this material has been audited or approved by the Company’s independent registered public accounting firm.
 
 
 
 

Slide 3
Information is unaudited, estimated and subject to change.     Chimera GAAP Asset Allocation: Year Over Year Comparison    (1)  Consists of RMBS and loans transferred to variable interest entities which are consolidated under GAAP.   June 30, 2013   June 30, 2012     Total Portfolio: $7.1 Billion (1)   Total Portfolio: $8.2 Billion (1)   58%   29%   7%   4%   2%   Consolidated RMBS & Loans  Agency RMBS  Non-Agency RMBS  Non-Agency Senior IO  Cash and Cash Equivalents   54%   34%   8%   3%   1%   Consolidated RMBS & Loans  Agency RMBS  Non-Agency RMBS  Non-Agency Senior IO  Cash and Cash Equivalents
 
 
 
 
 
Slide 4
Information is unaudited, estimated and subject to change.     GAAP Financing Sources: Year Over Year Comparison   (1)  Consists of tranches of RMBS and loan securitizations sold to third parties.   June  30, 2013   June 30, 2012     Total Financing: $3.5 Billion   Total Financing: $4.9 Billion   42%   58%   Repurchase Agreements, Agency RMBS  Non-Recourse Liabilities of Consolidated RMBS and Loans   48%   52%   Repurchase Agreements, Agency RMBS  Non-Recourse Liabilities of Consolidated RMBS and Loans   (1)   (1)
 
 
 
 
 
Slide 5
 
Information is unaudited, estimated and subject to change.     Maturity   Principal Balance   Weighted   Average Rate   Weighted   Average Days    2 to 30 days   $753,743    0.42%    31 to 59 days   332,985       0.41%    60 to 89 days   205,962    0.40%    120 to 360 days   185,451    0.58%        Total   $1,478,141    0.43%   71     Coupon   Current Face   Weighted Average Price   Weighted Average CPR    4.00   $285,792    103.25    12.20     4.50   1,414,025    102.50    15.65     5.00   603,940    103.59   26.64    5.50   173,455    103.16    34.60     6.00   79,051    104.02    27.98     7.00   24,217    103.26    16.85     Totals   $2,580,479  
Coupon   Current Face   Weighted Average Price   Weighted Average
CPR    3.50   $292,038   106.42      3.60     4.00   604,552    107.83    14.48     4.50   565,124    102.52    26.09     5.00   329,195    103.68    22.94     5.50   99,695    103.14    40.57     6.00   26,227    104.54    38.22     7.00   14,652    103.26    46.09     
Totals   $1,931,482      Agency & Repo Summary   Agency Pass-Throughs – As of June 30, 2013   Repo Days to Maturity - As of June 30, 2013   Agency Pass-Throughs – As of June 30, 2012   Repo Days to Maturity - As of June 30, 2012   Maturity   Principal Balance   Weighted   Average Rate   Weighted   Average Days    2 to 30 days   $1,084,286    0.39%    31 to 59 days   642,041    0.40%    60 to 89 days   63,482    0.42%    90 to 119 days   279,968   0.47%    120 to 360 days   292,311    0.63 %        Total   $2,362,088    0.43%   77     ($ in thousands)
 
 
 
 
 
Slide 6
Information is unaudited, estimated and subject to change.     Interest Rate Sensitivity        Agency Pass-Through Portfolio and Swap Book    Immediate Rate Shock    Description   -50 bp   Unchanged   +50 bp   +100 bp    Agency   Current Face   $1,931,482    $1,931,482    $1,931,482    $1,931,482     MTM Gain   38,961    0   (51,407)   (108,186)    Percentage Change   2.0%   0.0%   -2.7%   -5.6%     Swaps   Current Face   $1,355,000    $1,355,000    $1,355,000    $1,355,000     MTM Gain   (13,764)   0    17,489    34,700     Percentage Change   -1.0%   0.0%   1.3%   2.6%       Note: As of June 30, 2013.   ($ in thousands)
 
 
 
 
 
Slide 7
Information is unaudited, estimated and subject to change.     Consolidated Securitizations   ($ in thousands)   At Origination   As of June 30, 2013    Vintage   Deal   Type   Total Original Face   Total of Tranches Sold   Total of Tranches Retained   Total Remaining Face   Remaining Face of Tranches Sold   Remaining Face of Tranches Retained    2012   Whole Loan Securitization   CSMC - 2012-CIM1               $741,939                $707,810                  $34,129                 $310,917                 $277,493                   $33,425     2012   Whole Loan Securitization   CSMC - 2012-CIM2                 425,091                  404,261                    20,830                  192,467                  171,979                    20,489     2012   Whole Loan Securitization   CSMC - 2012-CIM3                 329,886                  305,804                    24,082                  267,097                  244,172                    22,925     2010   RMBS Securitization   CSMC - 2010-1R               1,730,581                  691,630                1,038,951                1,024,019                  168,790                  855,229     2010   RMBS Securitization   CSMC - 2010-12R               1,239,176                  435,177                  803,999                  811,423                    92,464                  718,959     2010   RMBS Securitization   CSMC - 2010-11R                 566,571                  193,490                  373,081                  400,726                  173,129                  227,597     2009   RMBS Securitization   CSMC - 2009-12R               1,730,698                  915,566                  815,132                  932,595                  290,636                  641,959     2009   RMBS Securitization   JPMRR - 2009-7               1,522,474                  856,935                  665,539                  843,547                  363,568                  479,978     2009   RMBS Securitization   JMAC - 2009-R2                 281,863                  192,500                    89,363                  158,017                   79,256                    78,761     2008   Whole Loan Securitization   PHH - 2008-CIM1                 619,710                  549,142                    70,568                  145,839                  112,853                    32,986            $ 9,187,991            $5,252,316            $3,935,676             $5,086,648            $1,974,339             $3,112,309     % of origination   55%   38%   79%
 
 
 
 
 
Slide 8
Information is unaudited, estimated and subject to change.     Consolidated RMBS – Retained Tranche Performance   69.5%  70.0%  70.5%  71.0%  71.5%  72.0%  72.5%  73.0%  73.5%  74.0%  74.5%  6/10  8/10  10/10  12/10  2/11  4/11  6/11  8/11  10/11  12/11  
2/12  4/12  6/12  8/12  10/12  12/12  2/13  4/13  6/13   706  707  708  709  710  711  712  713  714  715  6/10  8/10  10/10  12/10  2/11  4/11  6/11  8/11  10/11  12/11  2/12  4/12  6/12  8/12  
10/12  12/12  2/13  4/13  6/13   80.5%  81.0%  81.5%  82.0%  82.5%  83.0%  83.5%  84.0%  84.5%  85.0%  6/10  8/10  10/10  12/10  2/11  4/11  6/11  8/11  10/11  12/11  2/12  4/12  6/12  8/12  
10/12  12/12  2/13  4/13  6/13   $350  $360  $370  $380  $390  $400  $410  $420  $430  $440  6/10  8/10  10/10  12/10  2/11  4/11  6/11  8/11  10/11  12/11  2/12  4/12  6/12  8/12  10/12  12/12  2/13  4/13  6/13  
Weighted Average Loan To Value %    Weighted Average FICO Score    Weighted Average Loan Size    Weighted Average Owner Occupied %    ($ in thousands)
 
 
 
 
 
Slide 9
Information is unaudited, estimated and subject to change.     Consolidated RMBS – Retained Tranches Performance   0%  5%  10%  15%  20%  25%  30%  35%  40%  6/10  8/10  10/10  12/10  2/11  4/11  6/11  8/11  10/11  12/11  2/12  4/12  6/12  8/12  10/12  12/12  2/13  4/13  6/13  WA 60+ Delinq  WA 90+ Delinq   0%  2%  4%  6%  8%  10%  12%  14%  16%  18%  6/10  8/10  10/10  12/10  2/11  4/11  6/11  8/11  10/11  12/11  2/12  4/12  6/12  8/12  10/12  12/12  2/13  4/13  6/13  WA 3M CPR  WA 3M VPR  Purchase VPR   0%  10%  20%  30%  40%  50%  60%  70%  80%  90%  6/10  8/10  10/10  12/10  2/11  4/11  6/11  8/11  10/11  12/11  2/12  4/12  6/12  8/12  10/12  12/12  2/13  4/13  6/13  WA 12M Sev  Purchase Sev   Weighted Average Delinquency Pipeline    Weighted Average 12M Severity vs. Severity at Purchase      Weighted Average Voluntary Prepayment Rate (VPR) vs. VPR at Purchase
 
 
 
 
 
Slide 10
Information is unaudited, estimated and subject to change.     Cumulative Dividend History   (1)  4Q 13 Dividend has been announced but not declared.   Dividends Per Quarter (1)    $1  $11  $17  $23  $30  $40  $78  $158   $272   $386   $516   $675   $850   $993   $1,127   $1,260   $1,373   $1,486   $1,579   $1,671   $1,763   $1,856   $1,948   $2,041   $2,133   -$300  $200  $700  $1,200  $1,700  $2,200  4Q07  1Q08  2Q08  3Q08  4Q08  1Q09  2Q09  3Q09  4Q09  1Q10  2Q10  3Q10  4Q10  1Q11  2Q11  3Q11  4Q11  1Q12  2Q12  3Q12  4Q12  1Q13  2Q13  3Q13  4Q13  $ in Millions   Cumulative Dividends  Dividends Per Quarter